What is next?

I hope to add new topics to this tutorial as time and budget allow. The following list contains the future topics. Some of them are necessary for in-depth understanding of the Kalman Filter.

  • Kalman Filter initialization.
  • Extended Kalman Filter (the non-linear version of the Kalman filter).
  • Non-Gaussian noise Kalman Filter (how to generalize the Kalman Filter when noise distribution is Non-Gaussian).
  • Stability and Divergence (how to design stable Kalman Filter that does not diverge).
  • Sub-optimal filtering (how to deal with cases where the measurement uncertainty is higher than anticipated).
  • Simplification of Kalman Filter for faster computation performance.
  • Kalman Filter implementation.
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